File:MultivariateNormal.png
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Summary[edit]
DescriptionMultivariateNormal.png |
English: Illustration of a multivariate gaussian distribution and its marginals. Matlab code provided below. |
Date | |
Source | Own work |
Author | Bscan |
%This script illustrates a multivariate Gaussian distribution and its
%marginal distributions
%This code is issued under the CC0 "license"
%Define limits of plotting
X = -5:0.1:5;
Y = -5:0.1:5;
%2-d Mean and covariance matrix
MeanVec = [0 0];
CovMatrix = [1 0.6; 0.6 2];
%Get the 1-d PDFs for the "walls"
Z_x = normpdf(X,MeanVec(1), sqrt(CovMatrix(1,1)));
Z_y = normpdf(Y,MeanVec(2), sqrt(CovMatrix(2,2)));
%Get the 2-d samples for the "floor"
Samples = mvnrnd(MeanVec, CovMatrix, 10000);
%Get the sigma ellipses by transform a circle by the cholesky decomp
L = chol(CovMatrix,'lower');
t = linspace(0,2*pi,100); %Our ellipse will have 100 points on it
C = [cos(t) ; sin(t)]; %A unit circle
E1 = 1*L*C; E2 = 2*L*C; E3 = 3*L*C; %Get the 1,2, and 3-sigma ellipses
figure; hold on;
%Plot the samples on the "floor"
plot3(Samples(:,1),Samples(:,2),zeros(size(Samples,1),1),'k.','MarkerSize',2)
%Plot the 1,2, and 3-sigma ellipses slightly above the floor
%plot3(E1(1,:), E1(2,:), 1e-3+zeros(1,size(E1,2)),'Color','g','LineWidth',2);
%plot3(E2(1,:), E2(2,:), 1e-3+zeros(1,size(E2,2)),'Color','g','LineWidth',2);
plot3(E3(1,:), E3(2,:), 1e-3+zeros(1,size(E3,2)),'Color','g','LineWidth',2);
%Plot the histograms on the walls from the data in the middle
[n_x, xout] = hist(Samples(:,1),20);%Creates 20 bars
n_x = n_x ./ ( sum(n_x) *(xout(2)-xout(1)));%Normalizes to be a pdf
[~,~,~,x_Pos,x_Height] = makebars(xout,n_x);%Creates the bar points
plot3(x_Pos, Y(end)*ones(size(x_Pos)),x_Height,'-k')
%Now plot the other histograms on the wall
[n_y, yout] = hist(Samples(:,2),20);
n_y = n_y ./ ( sum(n_y) *(yout(2)-yout(1)));
[~,~,~,y_Pos,y_Height] = makebars(yout,n_y);
plot3(X(1)*ones(size(y_Pos)),y_Pos, y_Height,'-k')
%Now plot the 1-d pdfs over the histograms
plot3(X, ones(size(X))*Y(end), Z_x,'-b','LineWidth',2);
plot3(ones(size(Y))*X(1), Y, Z_y,'-r','LineWidth',2);
%Make the figure look nice
grid on; view(45,55);
axis([X(1) X(end) Y(1) Y(end)])
Licensing[edit]
This file is made available under the Creative Commons CC0 1.0 Universal Public Domain Dedication. | |
The person who associated a work with this deed has dedicated the work to the public domain by waiving all of their rights to the work worldwide under copyright law, including all related and neighboring rights, to the extent allowed by law. You can copy, modify, distribute and perform the work, even for commercial purposes, all without asking permission.
http://creativecommons.org/publicdomain/zero/1.0/deed.enCC0Creative Commons Zero, Public Domain Dedicationfalsefalse |
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Date/Time | Thumbnail | Dimensions | User | Comment | |
---|---|---|---|---|---|
current | 19:30, 22 March 2013 | 842 × 637 (159 KB) | Bscan (talk | contribs) | User created page with UploadWizard |
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